Robust Portfolio Optimization with Value-at-Risk Adjusted Sharpe Ratio

2012 ◽  
Author(s):  
Geng Deng ◽  
Tim Dulaney ◽  
Craig J. McCann ◽  
Olivia Wang
Keyword(s):  
At Risk ◽  
Portfolio Optimization ◽  
Value At Risk ◽  
Sharpe Ratio ◽  
Robust Portfolio Optimization ◽  
Robust Portfolio

scholarly journals Robust portfolio optimization with Value-at-Risk-adjusted Sharpe ratios

2013 ◽  
Vol 14 (5) ◽  
pp. 293-305 ◽  
Author(s):  
Geng Deng ◽  
Tim Dulaney ◽  
Craig McCann ◽  
Olivia Wang
Keyword(s):  
At Risk ◽  
Portfolio Optimization ◽  
Value At Risk ◽  
Robust Portfolio Optimization ◽  
Robust Portfolio ◽  
Sharpe Ratios

scholarly journals Portfolio Optimization for Stock Market in Ghana Using Value-at-Risk (VaR)

2020 ◽  
Vol 5 (3) ◽  
pp. 61
Author(s):  
Eric Kwame Austro Gozah ◽  
Eric Neebo Wiah ◽  
Albert Buabeng ◽  
Paul Yaw Addai Yeboah
Keyword(s):  
At Risk ◽  
Stock Market ◽  
Portfolio Optimization ◽  
Value At Risk

Robust Portfolio Optimization

2008 ◽  
Author(s):  
Dessislava A. Pachamanova ◽  
Petter N. Kolm ◽  
Frank J. Fabozzi ◽  
Sergio M. Focardi
Keyword(s):  
Portfolio Optimization ◽  
Robust Portfolio Optimization ◽  
Robust Portfolio
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